Trouble Installing

I feel really bad posting here, since it looks like everybody else knows what they're talking about, and I don't really know anything about computers. So sorry in advance.

Here's the problem: Every time I'm installing the program an error report comes up that says something to the effect of "problem writing to the file 'classic.jar.'

I tried installing FF2 instead, and the same thing happened, though with a different .jar. I'm deeply sorry for asking what I'm sure is a stupid question, but I don't have any idea what to do.